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A Note on Asset Management and Market Risk
Scherer, Bernd - 2010
The textbook view on risk in asset management companies is summarized by Hull (Risk Management and Financial Institutions, p. 372, 2007): “For an asset manager the greatest risk is operational risk.” Using evidence from various panel regression models, we show that asset management revenues...
Persistent link: https://www.econbiz.de/10013138602
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Portfolio Disclosure, Portfolio Selection and Mutual Fund Performance Evaluation
Kempf, Alexander; Kreuzberg, Klaus - 2004
Portfolioveröffentlichung erhöht die Trans parenz des Fonds. In diesem Arbeitspapier zeigen wir, wie sich eine häufigere … Portfolioveröffentlichung aus theoretischer Sicht (i) auf das optimale Anlage verhalten des Fondsmanagers und (ii) auf die Performance von Fonds … Veröffentlichungspolitik ihres Fonds berücksichtigen. Häufigere Portfolioveröffentlichung reduziert – über eine verbesserte Transparenz des …
Persistent link: https://www.econbiz.de/10005854234
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How Expected Shortfall Can Simplify the Equally-Weighted Risk Contribution Portfolio
Colucci, Stefano - 2011
In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a conservative portfolio several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came up, that is...
Persistent link: https://www.econbiz.de/10013117857
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A Risk Based Approach to Tactical Asset Allocation
Colucci, Stefano - 2011
Faber's 'A Quantitative Approach to Tactical Asset Allocation' (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management...
Persistent link: https://www.econbiz.de/10013118029
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The Risks of Risk Parity
Institute, Brandes - 2015
Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a favorable environment for bonds. Like the traditional...
Persistent link: https://www.econbiz.de/10013015173
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Redemption Risk and Cash Hoarding by Asset Managers
Morris, Stephen - 2017
Open-end mutual funds face redemptions by investors, but the sale of the underlying assets depends on the portfolio decision of asset managers. If asset managers use their cash holding as a buffer to meet redemptions, they can mitigate fire sales of the underlying asset. If they hoard cash in...
Persistent link: https://www.econbiz.de/10012964215
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Sharing R&D Risk in Healthcare via FDA Hedges
Jørring, Adam - 2017
The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...
Persistent link: https://www.econbiz.de/10012959215
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Modern Portfolio Theory and Risk Management : Assumptions and Unintended Consequences
Hawley, James P. - 2019
The article presents an overview of the assumptions and unintended consequences of the widespread adoption of modern portfolio theory (MPT) in the context of the growth of large institutional investors. We examine the many so-called risk management practices and financial products that have been...
Persistent link: https://www.econbiz.de/10012905822
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How Investment Risk Evolves with Horizon
Warren, Geoff - 2018
This paper investigates how the nature of risk changes as investment horizon lengthens, and what it means for investors. Accumulated wealth is analyzed in terms of four drivers: expected return, cash flow innovations, discount rate innovations, and reinvestment rates. This perspective highlights...
Persistent link: https://www.econbiz.de/10012910474
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How Risk Managers Should Fix TEV and VaR Constraints in Asset Management
Riccetti, Luca - 2018
Many investors assign part of their funds to asset managers of mutual funds who are given the task of beating a benchmark. Asset managers usually face a constraint on maximum Tracking Error Volatility (TEV), imposed by the risk management office to keep the risk of the portfolio close to that of...
Persistent link: https://www.econbiz.de/10012937578